TFT-LCD面板價格波動避險實證研究

Abstract

大尺寸TFT-LCD液晶面板產業為我國重要產業，產業內的廠商經常必須面對劇烈的價格波動，卻沒有可供避險的工具，因此本研究欲探討可行之避險工具及策略，提供產業內的廠商進行避險操作之參考。 本研究將透過訊號發射理論及股票評價理論，探討當產業內進行面板價格協商時，是否會因資訊的散發而使面板製造商的股價報酬率走勢領先且同向地反應次月之面板價格變動率走勢，若然，產業內廠商得以依此關係選擇特定股票做為避險工具，同時擬定明確之避險策略；若為面板供應商則須在股價反應期間內先賣後再買該股票，若為面板需求商則須在反應期間內先買後再賣該股票，以股票所得做為抵消面板價格變動造成之利潤變動。 本研究採用單根檢定避免虛性迴歸之問題、利用相關分析尋找價格變動走勢顯著相關之面板製造商股票及面板、藉由Granger因果檢定確認價格變動呈現顯著領先落後關係的個股與面板及透過逐步迴歸分析，瞭解個股股價變動對於面板價格變動之解釋能力，同時計算最適避險比率進行避險，並以實際樣本外資訊進行系統模擬避險操作，以瞭解避險效果。 實證結果發現：1.奇美的股價報酬率與15吋及17吋桌上型顯示器用面板價格變動率有顯著同向的領先落後關係，因此奇美的股票為可行之避險工具。2.奇美的股價在本月倒數第10至第6個股市交易日之報酬率與次月之15吋及17吋液晶面板價格變動率間有顯著相關關係，股價報酬率顯著領先面板價格變動率，因此避險操作需在本月倒數第10個股市交易日開始，倒數第6個交易日結束，股價的變動將可以抵消面板價格變動造成之利潤變動。3.經由迴歸分析發現，15吋面板交易之最適避險比率為0.7486，17吋面板交易之最適避險比率為0.7664。4.經系統模擬結果證實此避險策略確實具有減少利潤變動率之效果。

TFT-LCD industry has been more and more important in Taiwan. All the firms in the industry must face the price fluctuation of TFT-LCD panel, but there is no way to hedge. The main purpose of the research is to find out tools and strategies to hedge the price risk properly. This research will explore the phenomenon whether the return rate of stocks of companies, which produce TFT-LCD panel, will lead the change rate of panel price through signaling hypotheses and stock pricing theory. Firms in this industry can hedge the price risk by panel makers’ stock if this relationship holds. By using stocks to hedge, for example, panel makers can sell the stocks before reacting period and repurchase them after reacting period. As sure, panel makers can gain profit from stock transactions to offset the loss from falling panel price. This research will deal with spurious regression problem using unit root test; find the stocks and panels changing price correspondingly by correlation analysis; confirm the lead-lagging relationship between stocks price and panels price by Granger causality test; compute the most appropriate hedge ratio of stocks and panels; test the hedge effect by simulation with out-sample data. Findings as follow: 1.The return rate of stock price of CMO will lead the change rate of 15” and 17” TFT-LCD panel prices. 2.The leading period of stocks is between the last 10th stock transaction day to the last 6th day of the month. Thus panel maker firms must sell stocks at the last 10th transaction day and repurchase them at the last 6th transaction day for hedge. 3.The hedge ratio of 15” panel will be 0.7486 and of 17” panel will be 0.7664 respectively. 4.The result of hedging is effective.